1/ In Defense of Troublemakers: The Power of Dissent in Life and Business (Charlan Jeanne Nemeth)
"Consensus narrows, while dissent opens, the mind. Both affect the quality of our decisions. There are perils in consensus and value in dissent." (p. 14)
2/ "A consensus position can sway our judgments even when it is in error, and even when contrary evidence is in our face.
"Persuasion by a dissenter is more indirect, requires more time, and follows a more subtle choreography of argument.
3/ "Dissent (consensus) broadens (narrows) our thinking. We consider more information and more options, we use multiple strategies in problem-solving, and we think more creatively. On balance, consensus impairs the quality of our decisions, while dissent benefits it.
"In the late 1990s, I knew my bubble had finally come.
"Good times breed laxity, and laxity breeds unreliable numbers, which bring about bad times. This simple rhythm is as predictable as human avarice." (p. 1)
2/ "Regulatory/accounting laxness are ignored when stocks are climbing.
"Analysts tried to explain how they could disparage a stock in private e-mails while maintaining the highest buy recommendations publicly, even as the companies they recommended hurtled toward bankruptcy.
3/ "Companies used accounting trickery to report strong pro-forma earnings right up to the point of defaulting on obligations for lack of cash. After the crash, we saw a parade of accountants who suddenly seem to have found basic accounting very difficult to understand." (p. 1)
"What experts think matters far less than how they think. We are better off with experts who draw from an eclectic array of traditions and accept ambiguity/contradiction as inevitable features of life." (p. 2) amazon.com/Expert-Politic…
2/ "Forecasting exercises' winners and losers are not clustered along left/right partisan lines.
"There is an inverse relationship between indicators of good judgment and the qualities the media prizes in pundits—the tenacity required to prevail in ideological combat." (p. 2)
3/ "Disagreements hinge on hard-to-refute counterfactual claims about what would have happened if we had taken different policy paths and on moral claims about the types of people we should be—all claims partisans can use to fortify their positions against falsification." (p. 4)
1/ The Great Beanie Baby Bubble: Mass Delusion and the Dark Side of Cute (Zac Bissonnette)
"The one thing I remember about Beanie Babies was how they made people feel so warm and fuzzy inside.... Then it just became people who saw dollar signs." (p. 73)
2/ "The collectibles business preyed on all our behavioral fallacies: over-reliance on past performance as a predictor of future returns, inflated concepts of the value of things we own, and our tendency toward movement in herds." (p. 72)
3/ "Once people could buy them for $5 and flip them for two to five times as much, the speed of the fad's spread multiplied - because humans have an insatiable need to brag." (p. 91)
1/ Red-Blooded Risk: The Secret History of Wall Street (Aaron Brown)
"From 1982 to 1992, rocket scientists hollowed out Wall Street and rebuilt it. Most people, including most people working on Wall Street, didn’t notice the fundamental change." (p. 6)
"Search hard for new things to bet on, unrelated to prior bets. Avoid falling into habits.
"Size bets properly. Don't lose so much that you’re taken out of the game; but be willing to bet big for the right gambles." (p. 7)
3/ "Optimizing requires goals and constraints and requires that the two be interchangeable. One way that can happen is if both are measured in money. It also turns out that any time you use the same units for goals and constraints, you create a form of money.
3/ "Biologists had first visualized the nuclei of human cells in 1912 and counted 48 chromosomes, which was duly entered into the textbooks. In 1953, a well-known cytologist even said that “the diploid chromosome number of 48 in man can now be considered as an established fact.”
2/ "I tried to sell, but when the housing market collapsed in 2007, the property’s value fell far below the amount I had borrowed.
"I was ensnared despite being a reporter who had made a career writing about the frenzied and doomed real estate market along Alabama’s beaches.
3/ "I never doubted that it would end poorly. I thought I was at the zoo, though, watching some wild behavior from behind a barricade. As it happened, I was standing in the middle of the jungle." (p. 4)
"My motivation is to help people challenge authority and live unconventional, remarkable lives. You don’t have to live the way other people expect you to." (p. 4)
2/ "Most men lead lives of quiet desperation and go to the grave with their song still in them." Henry David Thoreau
"People expect you to behave like they do. If you don’t, they get irritated. It’s as if they're asking: “Everyone else is jumping off the bridge. Why aren’t you?”
3/ "Asking “why?” to everything like a three-year-old is helpful: make sure you don’t jump off the bridge without at least considering the alternatives.
"Halfway through the required courses for graduate school, I realized that 80% of the assignments had little value.
Leverage constraints are an interesting philosophical problem when they're *partially* relaxed.
That prevents an LTCM-type blow-up but also makes leverage a scarce resource.
Some strategies (industry-neutral equity factors) cost more in leverage-units than others (risk parity).
Short-dated bonds have higher Sharpe ratios but also cost more in leverage per sigma-dollar unit (which also suggests the importance of dimensional analysis for this kind of problem).
Tail hedges become more desirable if they recover leverage and allow it to be re-allocated.
Transaction costs are lower for instruments with more sigma-$ exposure per unit of notional leverage.
Unintended bets (currency exposures in foreign equities) become more expensive to eliminate.
Integrating strategies may have an edge over simple mixing.
Worth re-emphasizing: today's market is only one of many possibilities. Most portfolios are not balanced such that they will perform well in all such scenarios.
Financial advisors, relatives, and media pundits talk about inflation and deflation, but are they positioning their portfolios to do well if those things happen?
Most have only seen one kind of market and are unable/unwilling to think differently. Do your own research!
I don't see this widely discussed, but schools seem pretty far behind in math this year. (Pre-calc students are still learning the unit circle in some cases; tests are open-notes and vulnerable to cheating. AP tests were shortened and not implemented well in 2020.)
Families with money are hiring extra academic help... I doubt that the full extent of this will be seen in test scores or college admission statistics for a while yet.
People will say it's unfair, but it was money down the drain for those families. Definitely a complicated issue
I might be missing something here, but the roll returns for silver and gold don't suggest that these assets have been heavily shorted, either today or over the past fourteen years.
1/ Exploiting Closed-End Fund Discounts: A Systematic Examination of Alphas (Patro, Piccotti, Wu)
"We estimate CEF expected returns as a function of the history of premiums and current premium. Previous studies understated the value of this information."
2/ "We employ current information to forecast future returns using the parametric model estimated with prior data. By allowing 𝛼𝑖 and 𝛽𝑖 to be freely estimated parameters, we consider valuable information in the premium mean-reversion speeds, which previous studies ignore."
3/ "CEF fund type classifications are obtained from Morningstar.
"In 2011, the mean market value of equity was $370 million for domestic CEFs, $336 million for foreign CEFs, and $140 million for miscellaneous CEFs."
Can WSB control enough capital to create volatility in the commodity and currency markets?
Interesting: I was called a 'geeza' and unfollowed after posting this poll
There is an interesting movement in politics... what something means no longer seems to be tied to what the author but to the reader. (This leads to a statement being labeled as offensive due listeners' perception rather than the speaker's intent.)
1/ The Go-Go Years: The Drama and Crashing Finale of Wall Street's Bullish 60s (John Brooks)
“As a people, we would rather face chaos, making potsfull of short term money, than maintain order and sanity by [turning away new business] and profiting less.”
2/ "Interest rates were at near-record highs, strangling new housing construction and making industrial expansion impractical. The dollar was in trouble, worth many billions more than the national gold hoard. One hundred or more Wall Street brokerage firms were near failure.
3/ "In May 1970, an equally-weighted portfolio was worth half of what it would have been worth at the start of 1969.
"The high flyers that had led the market of 1967 and 1968—conglomerates, computer leasers, far-out electronics companies, franchisers—were precipitously down.
Paper 1 (abstract): Based on lots of assumptions and this particular data set, we find that lockdowns don't work.
Paper 2 (abstract): Based on lots of other assumptions and a different data set, we find that lockdowns do work and strongly recommend them as policy interventions.
Paper 3 (abstract): Based on our own arbitrary criteria, we find that lockdowns may have been somewhat effective but were not worth the cost.
Paper 4 (abstract): We find that lockdowns were somewhat effective in saving lives and strongly recommend them as policy interventions.
Applications might not be as obvious as they seem.
For example, long-dated options have optically high spreads but reduce the need for aggressive vol targeting when it's most expensive to trade the underlying. They also make it possible to rebalance into dislocated assets.
Momentum can become much lower turnover and more tax efficient when rebalanced differently:
One way to be a liquidity provider is to be an endowment: no leverage and infinite time to wait for convergence.
Another is to be simultaneously diversified/hedged, such that divergence has a payoff and allows you to hold on to convergence trades with very high expected returns.
20 added to My Authors
